The result is really great. But to achieve this: read the doc.
Everything goes through the server with Filezila. I think it's to optimize loading times.

I tested a lot of 4 other gallery plugins, and there are 3 important points:
- UX
- loading times
- Rendering

This plugin fulfills the last 2 points successfully. Maybe one day, we will be able to do the same thing by switching only to the Worpress interface.

Support is fast.
Thanks David for your help.